Initial Claims Forecast

My forecast for initial claims of unemployment insurance for this week is 491,000, compared with a Bloomberg consensus forecast of 500,000.

Predicting Initial Claims

This week I've been looking at how well the consensus forecast of Wall Street analysts predicts various economic data just before the data are released. Mostly, the consensus is pretty good, but for initial jobless claims, it's bad. In fact the correlation of the consensus forecast of changes in the initial claims number with the BLS data is just 47%. Here is the chart:

So I wondered if I could do better. Turns out I can, I just had to get a little creative. My model manages to get the correlation up to 72% and the R^2 to 0.52. Here's the scatter plot:




I'm not going to tell you how I do it, but as a public service I will post my estimate of the weekly claims data every week in this space. Unless, of course, it interferes with our trading, and then I'll stop.